The following code provides example data:
library(TTR)
set.seed(15)
r <- rnorm(1000, 0, .01)
P_1 <- 100
P <- P_1*cumprod(1+r)
zz <- ZigZag(P, change = 5, percent = TRUE)
set.seed(15)
volume <- round(runif(1000, 50, 550), digits = 0)
data <- as.data.frame(cbind(P, zz, volume))
plot(P, type = "l")
lines(zz, col = "red")
in the end I would like to create cumulative sum of volume in new column, where reset happens when zigzag line (zz) changes direction. I have tried to play with s <- sign(diff(data$zz, lag = 1)), which would show those turning points, but haven't been able to use cumsum with it.
Here is a solution that uses dplyr:
library(dplyr)
data %>%
mutate(
zz_up = (zz - lag(zz) > 0),
zz_switch = zz_up != lag(zz_up),
zz_switch = ifelse(is.na(zz_switch), FALSE, zz_switch),
group = cumsum(zz_switch)
) %>%
group_by(group) %>%
mutate(cum_volume = cumsum(volume))